Does ATR Low Volatility help EMA Cross?
Crypto · 560 backtest runs · As of 21 Sept 2026 · Methodology
HelpsDSR ✗ not confirmed
This filter increases median CAGR — clearly enough that the entire 90% interval sits above +1 percentage point, not just the point estimate.
CAGR Comparison
Baseline CAGR
-14.4%
no filter
Filtered CAGR
5.8%
ATR Low Volatility
Δ CAGR
+4.30%
Sample
560
runs
Baseline Net CAGR
-14.9%
after costs
Filtered Net CAGR
5.1%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.356
median
Filtered Sharpe
0.079
Δ Sharpe
+0.09
DSR
0.0%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 1.2048 (expected best Sharpe from 10 random filter trials).
Testing multiple filters on the same data increases the chance of finding a good result by luck. DSR measures whether this result clears the multiple-testing threshold. Pass threshold: DSR ≥ 90%. Current: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 21 Sept 2026 · Methodology